Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0098
Annualized Std Dev 0.0585
Annualized Sharpe (Rf=0%) 0.1674

Row

Daily Return Statistics

Close
Observations 3405.0000
NAs 1.0000
Minimum -0.0615
Quartile 1 -0.0011
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0013
Maximum 0.0438
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0037
Skewness -1.6766
Kurtosis 49.8276

Downside Risk

Close
Semi Deviation 0.0028
Gain Deviation 0.0027
Loss Deviation 0.0035
Downside Deviation (MAR=210%) 0.0090
Downside Deviation (Rf=0%) 0.0028
Downside Deviation (0%) 0.0028
Maximum Drawdown 0.1411
Historical VaR (95%) -0.0043
Historical ES (95%) -0.0090
Modified VaR (95%) -0.0039
Modified ES (95%) -0.0039
From Trough To Depth Length To Trough Recovery
2008-01-18 2008-10-15 2009-09-03 -0.1411 411 188 223
2020-03-10 2020-03-19 2021-01-27 -0.1368 224 8 216
2012-12-03 2013-09-05 2016-06-27 -0.1143 898 191 707
2010-08-26 2011-01-14 2011-09-23 -0.1021 273 99 174
2016-07-08 2018-11-06 2019-08-15 -0.0761 782 589 193

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA -0.1 -0.3 0 0.7 0.2
2008 0.4 -0.7 -1 -0.1 0.1 -0.2 -0.1 0.2 -0.2 0.6 -0.6 0.6 -1.1
2009 0.5 -0.2 0 0.1 -0.7 0.2 0.1 -0.2 -0.9 -0.1 -0.2 0.1 -1.2
2010 -0.2 -0.4 -0.2 0.1 -0.4 -0.2 -0.1 -0.4 -0.4 -0.3 -0.8 0.1 -3.2
2011 0.2 -0.5 0.2 0.2 -0.4 -0.6 -0.3 -0.7 0 0.3 -0.3 -0.9 -2.7
2012 0.5 -0.4 -0.1 -0.3 -0.1 -0.1 -0.5 0 -0.3 -0.2 0.2 0.2 -0.9
2013 0.1 0 0 -0.1 -0.9 0.6 -0.4 0 -0.4 -0.6 0 -0.1 -1.9
2014 0.1 0.2 -0.4 -0.1 -0.1 -0.2 0.1 0.1 0.1 -0.1 -0.3 0.2 -0.4
2015 0.2 0.3 -0.2 -0.4 -0.3 -0.2 0.2 0.1 -0.2 0.2 -0.1 0.2 -0.3
2016 -0.4 -0.4 -0.2 0 -0.2 -0.1 -0.4 -0.2 -0.1 -0.3 -0.2 -0.1 -2.5
2017 -0.3 -0.5 0 -0.4 -0.3 -0.1 -0.1 -0.3 0 -0.2 0.1 0.1 -2
2018 -0.6 0.1 0 -0.2 -0.4 0 -0.4 0 -0.3 -0.3 0.2 0.1 -1.6
2019 -0.3 -0.2 -0.4 -0.1 0.2 -0.3 0.1 0 -0.1 -0.2 0 -0.1 -1.6
2020 0.1 -0.2 -2.6 0.3 -0.2 -0.1 0.1 -0.1 -0.2 0 -0.2 0.1 -3.1
2021 -0.1 -0.2 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-09-10  101. SPY    146. -0.0019  -0.0122   0.0028  -0.0364    0.122    0.295    0.620 GLD    69.6  0.0033   0.0466
2 2007-09-11  101. SPY    147.  0.0117  -0.0107   0.0192  -0.0144    0.132    0.311    0.627 GLD    70.5  0.0129   0.0457
3 2007-09-12  101. SPY    148.  0.0026   0.0005   0.0182  -0.0265    0.134    0.308    0.612 GLD    70.5 -0.0009   0.0429
4 2007-09-13  101. SPY    149.  0.007    0.0053   0.0413  -0.0258    0.131    0.313    0.634 GLD    70.1 -0.0054   0.0177
5 2007-09-14  101. SPY    149. -0.0001   0.0194   0.0557  -0.0272    0.126    0.31     0.665 GLD    70.0 -0.0013   0.0086
6 2007-09-17  101. SPY    148. -0.0054   0.0158   0.0422  -0.0313    0.12     0.313    0.652 GLD    71.0  0.014    0.0194
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart